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Integral transform

Mellin transform

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For $C(k)=\mathbb E(e^\xi-e^k)^+$ and $\operatorname{Re}z>1$ in the <exponential moment> domain, the <moment-generating function> satisfies $\mathbb Ee^{z\xi}=\int_{\mathbb R}C(k)z(z-1)e^{(z-1)k}dk$.

Mellin transform of call prices

Contour inversion for call prices

Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 211 / 5 / a / Solution

Mellin transform of call prices

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Mellin transform of call prices

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